MRG Minor fixes for release

Not sure whether we want to merge this into 0.15 or master. I leave that up to you @ogrisel ;)

Some things I noticed:

* The hmm examples got removed but not the docs. The docs still refer to the examples. Should we just remove the references? Or also remove the docs? Usually we remove deprecated things from the docs, right?

* the mlcomp_sparse_document_classification.py example is mentioned in whatsnew, but doesn't exist.

* test_ridge as two functions test_deprecation_warning_dense_cholesky that nearly do the same thing.

* there is a  lars example that is pretty verbose (~8000 lines)
In case anyone wonders: this one hid a function of the same name that got imported.